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Indirect estimation of agent-based models.An application to a simple diffusion model

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  • Jacob Grazzini
  • Matteo Richiardi
  • Lisa Sella

Abstract

Starting from an agent-based interpretation of the well-known Bass innovation diffusion model, we perform a Montecarlo analysis of the performance of a method of simulated moment estimator. We show that nonlinearities of the moments lead to a small bias in the estimates in small populations, and prove that our estimates are consistent and converge to the true values as population size increases. Our approach can be generalized to the estimation of more complex agent-based models. However, a trade-off emerges between model inadequacy and data inadequacy. This is particularly severe when only aggregate information is available, as common with diffusion data.

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Bibliographic Info

Paper provided by LABORatorio R. Revelli, Centre for Employment Studies in its series LABORatorio R. Revelli Working Papers Series with number 118.

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Date of creation: 2012
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Handle: RePEc:cca:wplabo:118

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Related research

Keywords: diffusion model; method of simulated moments; estimation;

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References

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  1. Steven Stern, 1997. "Simulation-Based Estimation," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 35(4), pages 2006-2039, December.
  2. Peter Winker and Manfred Gilli, 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Computing in Economics and Finance 2001, Society for Computational Economics 59, Society for Computational Economics.
  3. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 929-52, July.
  4. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(6), pages 1938-1970, June.
  5. Kirman, Alan, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 108(1), pages 137-56, February.
  6. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
  7. Grazzini Jakob, 2011. "Estimating Micromotives from Macrobehavior," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin 201111, University of Turin.
  8. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 370(1), pages 38-42.
  9. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, Econometric Society, vol. 57(5), pages 995-1026, September.
  10. Boswijk, H. Peter & Franses, Philip Hans, 2005. "On the Econometrics of the Bass Diffusion Model," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 255-268, July.
  11. Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 07-01, Swiss Finance Institute.
  12. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, Elsevier, vol. 47(2-3), pages 197-205, February.
  13. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, Econometric Society, vol. 57(5), pages 1027-57, September.
  14. Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 42(3), pages 299-312, March.
  15. Leombruni, Roberto & Richiardi, Matteo, 2005. "Why are economists sceptical about agent-based simulations?," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 355(1), pages 103-109.
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Cited by:
  1. Grazzini, Jakob & Richiardi, Matteo, 2013. "Consistent Estimation of Agent-Based Models by Simulated Minimum Distance," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin 201335, University of Turin.
  2. Michael Neugart & Matteo G. Richiardi, 2012. "Agent-based models of the labor market," LABORatorio R. Revelli Working Papers Series, LABORatorio R. Revelli, Centre for Employment Studies 125, LABORatorio R. Revelli, Centre for Employment Studies.

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